Method and system for high speed options pricing

Details Method and system for high speed options pricing Method and system for high speed options pricing

2007-06-08

2010-11-23

Patel, Jagdish N (Department: 3693)

Data processing: financial, business practice, management, or co

Automated electrical financial or business practice or...

Finance

C705S03600T

Reexamination Certificate

active

07840482

ABSTRACT:
A high speed technique for options pricing in the financial industry is disclosed that can provide both high throughput and low latency. A parallel/pipelined architecture is disclosed for computing an implied volatility in connection with an option. Parallel/pipelined architectures are also disclosed for computing an option's theoretical fair price. Preferably these parallel/pipelined architectures are deployed in hardware, and more preferably reconfigurable logic such as Field Programmable Gate Arrays (FPGAs) to accelerate the options pricing operations relative to conventional software-based options pricing operations.

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